For dressing and vegetables:
Whisk lemon juice, shallots, oil, parsley, and mint in medium bowl to blend. Season dressing with salt and pepper.

Place zucchini, yellow squash, and red bell peppers in separate dishes. Sprinkle each lightly with salt and pepper. Spoon 1/3 cup dressing over each and turn to coat; reserve remaining dressing. Arrange red onions in large glass dish; sprinkle with salt and pepper. Pour wine over onions. Let vegetables and onions marinate at least 2 hours and up to 4 hours, basting or turning occasionally.

Place butterflied lamb on grill rack with some rosemary and thyme marinade still clinging to lamb. Grill until meat thermometer inserted into center registers 130°F for medium-rare, turning occasionally and basting with reserved red Zinfandel from onions, about 35 minutes. Transfer lamb to work surface; let rest 15 minutes.